Estimation and identification of latent group structures in panel data

Ali Mehrabani

Journal of Econometrics, 2023, vol. 235, issue 2, 1464-1482

Abstract: This paper provides a framework for joint estimation and identification of latent group structures in panel data models using a pairwise fusion penalized approach. The latent structure of the model allows individuals to be classified into different groups where the number of groups and the group membership are unknown. The individuals within a group have common slope parameters, while parameter heterogeneity is allowed across the groups. A penalized least squares (PLS) approach is introduced for models with exogenous regressors. When the model contains endogenous regressors, a penalized generalized method of moment (PGMM) is introduced. To implement the proposed approach, an alternating direction method of multipliers algorithm has been developed. The proposed method is further illustrated by simulation studies which demonstrate the finite sample performance of the method, and is applied in an empirical analysis.

Keywords: ADMM algorithm; Classification; Dynamic panel; High dimensionality; Oracle property; Pairwise adaptive group fused Lasso; Parameter heterogeneity (search for similar items in EconPapers)
JEL-codes: C33 C36 C38 C51 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030440762200207X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:235:y:2023:i:2:p:1464-1482

DOI: 10.1016/j.jeconom.2022.12.002

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().